A workaround for this trouble would be to transform your select list into a table (meaning that the field you use to group your table would become a lookup) and apply the formatting on this new table.
As lookups can carry-over styling/formatting (conditional or not) 
Simple formatting :
Conditional Formatting :
But I agree, it’s just a workaround that might seem a little bit superfluous, even though it does the work 
.